| Close | |
|---|---|
| Annualized Return | 0.1001 |
| Annualized Std Dev | 0.2080 |
| Annualized Sharpe (Rf=0%) | 0.4810 |
| Close | |
|---|---|
| Observations | 4503.0000 |
| NAs | 1.0000 |
| Minimum | -0.1204 |
| Quartile 1 | -0.0046 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0061 |
| Maximum | 0.1196 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.2289 |
| Kurtosis | 11.8868 |
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.6091 |
| Historical VaR (95%) | -0.0188 |
| Historical ES (95%) | -0.0323 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0275 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2012-09-12 | -0.6091 | 1331 | 444 | 887 |
| 2020-02-13 | 2020-03-23 | 2020-11-09 | -0.3963 | 188 | 27 | 161 |
| 2018-09-24 | 2018-12-24 | 2019-07-03 | -0.2062 | 195 | 64 | 131 |
| 2015-05-22 | 2016-02-11 | 2016-07-14 | -0.1799 | 289 | 183 | 106 |
| 2018-01-29 | 2018-02-08 | 2018-08-29 | -0.0990 | 149 | 9 | 140 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | -0.3 | 2 | 0.3 | -0.6 | 0.6 | 1.8 | 0 | 1.2 | 0.1 | 5.1 |
| 2004 | 0.1 | 1.3 | 0.6 | -0.5 | -0.1 | -1.4 | 0.2 | 0.3 | 1.6 | 0.1 | 1.4 | 0 | 3.7 |
| 2005 | 0.7 | 0.7 | -0.3 | 1 | 1 | 0.3 | 0 | -0.2 | 0.5 | -0.1 | 1.5 | -0.6 | 4.5 |
| 2006 | 0.4 | 1 | 0 | -0.5 | 1.2 | -0.1 | -0.6 | 0.4 | -0.4 | -0.8 | -0.4 | -0.4 | -0.3 |
| 2007 | 0.7 | -0.3 | 0 | 0.2 | 0.4 | -0.2 | 0.4 | 1.2 | 1.4 | -2.7 | 1.2 | -0.6 | 1.5 |
| 2008 | 2.1 | -2.8 | 4.5 | 2.2 | 0.2 | 0.2 | -0.6 | -0.8 | -0.2 | 2.1 | -9.1 | 2.5 | -0.4 |
| 2009 | -3.2 | -1.8 | 2.1 | 0.5 | 3.6 | 0.6 | 0 | -2.7 | -3.2 | -3 | 1.3 | -1.1 | -6.9 |
| 2010 | 1.7 | 1.7 | 0.8 | -1.9 | -2.4 | -0.2 | 0.1 | 3.1 | 0.3 | -0.2 | 2.2 | -0.1 | 5.1 |
| 2011 | 1.4 | -1.8 | 0.5 | 0.2 | -2.4 | 1.5 | -0.8 | -1.4 | -2.8 | -3.1 | -0.1 | -0.5 | -8.8 |
| 2012 | 1.3 | 0.6 | 0.3 | 0.6 | -2.8 | 2.8 | -0.4 | 0.5 | 0.1 | 1.4 | 0.1 | 1.9 | 6.6 |
| 2013 | 0.9 | 0.4 | -0.5 | -1 | -1.4 | 0.9 | 1.5 | -0.5 | 0.8 | 0.3 | -0.2 | 0.3 | 1.4 |
| 2014 | -0.5 | 0.3 | 0.8 | 0 | 0.1 | 0.5 | -0.2 | 0.4 | -1.3 | 1.2 | -0.8 | -0.9 | -0.4 |
| 2015 | -1.3 | -0.2 | -0.3 | 1 | 0.2 | 0.6 | 0 | -2.8 | -0.2 | -0.1 | 0.9 | -0.8 | -2.9 |
| 2016 | 0 | 2.3 | 0.4 | -0.6 | 0.2 | 0.3 | -0.4 | 0 | 0.8 | -0.8 | -0.3 | -0.3 | 1.6 |
| 2017 | -0.2 | 1.2 | -0.1 | 0 | 1 | 0.3 | 0.1 | 0.4 | 0.3 | 0 | -0.2 | -0.4 | 2.5 |
| 2018 | -0.2 | -1.1 | 1.3 | 0 | 0.8 | 0.2 | -0.6 | 0 | 0 | 1.5 | 0.4 | 0.8 | 3.1 |
| 2019 | 0.2 | 0.7 | 1.3 | -1 | -1.1 | 0.7 | -1.3 | 0 | -1.6 | 1.2 | -0.4 | 0.4 | -0.9 |
| 2020 | -2 | -1.1 | -4.9 | -3.6 | 1.2 | -0.1 | 0 | 0.5 | 0.4 | -0.3 | 0.9 | 0.6 | -8.4 |
| 2021 | 1.3 | 2.3 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-04-30 25.6 SPY 91.9 0.0013 -0.00290 0.0846 0.0628 -0.148 -0.354 NA <NA> NA NA NA
2 2003-05-01 25.5 SPY 91.9 -0.0001 0.0059 0.0681 0.0885 -0.158 -0.380 NA <NA> NA NA NA
3 2003-05-02 26.0 SPY 93.2 0.0143 0.033 0.0578 0.0831 -0.143 -0.364 NA <NA> NA NA NA
4 2003-05-05 26.0 SPY 93.0 -0.0019 0.0135 0.0608 0.0789 -0.135 -0.363 NA <NA> NA NA NA
5 2003-05-06 26.2 SPY 93.9 0.0095 0.0231 0.0645 0.0999 -0.110 -0.353 NA <NA> NA NA NA
6 2003-05-07 26.1 SPY 93.4 -0.0055 0.0161 0.0606 0.101 -0.111 -0.365 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>